The study aims to examine the impact of COVID-19 on the Turkish stock market volatility and reveal how different industries are affected by COVID-19. Volatility between pre-COVID and COVID periods are compared across industries to understand the impact of the first shock. Markov-switching...

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

We analyze an OLG economy with financial frictions and accumulation of both physical and intangible capital. The key difference between these two types of capital is that intangible capital cannot be used as collateral for borrowing. As intangibles become more important relative to physical...

I use a Bayesian vector autoregressive (VAR) model to investigate the impact of monetary and technology shocks on the euro area stock market in 1987-2005. I find an important role for technology shocks, but not monetary shocks, in explaining variations in real stock prices. The identification...

This paper investigates how stock markets react to the release of R&D-related news by studying stock price data for firms listed on the first section of the Tokyo Stock Exchange between 2000 and 2006. If information uncertainty is the major cause of the post-announcement drift, post-announcement...

The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...

We conjecture that the Dotcom abnormal underpricing resulted from the emergence a large cohort of firms racing for market leadership/survivorship. Fundamentals pricing at the IPO was part of their strategy. Consistent with our conjecture, firms' strategic goals and characteristics fully explain...

This paper investigates whether and how the development level of a country’s digital economy affects stock price synchronicity. The results indicate that countries with high levels of digital economy development exhibit low stock price synchronicity. Additionally, decomposing stock price...

This paper investigates the predictability of the firm news tone on stock return in Chinese market. We find that the news tone significantly positively predicts the cross-sectional future return in both short and long horizon. Beyond this, we generally find while the online news could predict...

Firms engaging in innovative practices have patents to prevent competitive forces from eroding the resulting economic rents; however, there is limited evidence regarding the impact of innovation on risk. We shed new light on how firms' involvement in innovation activities impacts their...